IFRS 9
Incorporating economic outlook into exposure at default models
This paper outlines a new means to include macroeconomic variables in exposure at default models while satisfying all IFRS 9 expectations.
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Rabobank jacks up climate risk overlays to loan provisions
Allowances top-up for chronic extreme weather increases more than sixfold
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio
IASB cautions hedging fix won’t be perfect, but it will help
Banks optimistic that new model could prevent broken hedges driving balance sheet volatility
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
How a ‘sushi circle’ approach can improve credit risk management
AI can help banks shift from manual corporate loan reviews to continuous, digitised risk monitoring, as four practitioners explain
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
Navigating IFRS 9: strategies for effective implementation, and what comes next
A recent webinar focused on the Apac region, sponsored by SAS and Intel, explored the key challenges of implementing IFRS 9, the insights gained from the process and what the next stages might involve. This article explores the main themes covered in the…
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees